MDU Resources Group, Inc (MDU)

New York Stock Exchange
USD
US5526901096
21 February 1973  –  27 March 2024

Performance

Annualized Return
9.07%
Sharpe Ratio
0.48
Maximum Drawdown
-62.17%

Metrics

Metric MDU Resources Group, Inc
Initial Balance $10,000
Final Balance $848,018
Returns   [View more details]
Month-To-Date 13.63%
Year-To-Date 24.42%
3M 24.35%
6M 23.23%
Annual Return (3Y) 7.22%
Annual Return (5Y) 9.94%
Annual Return (All) 9.07%
Risk   [View more details]
Annual Volatility 24.46%
Max Drawdown -62.17%
Sharpe Ratio 0.48
Sortino Ratio 0.69
Adjusted Sortino (S/√2) 0.49

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on February 1973.
  • Final balance: The amount of capital we've accrued over time as of March 2024.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 51 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
MDU Resources Group, Inc 23.74% 7.22% 9.94% 3.57% 7.21% 9.07%

Annual Returns

Year MDU Resources Group, Inc
1973 -2.8%
1974 -24.1%
1975 -1.9%
1976 37.68%
1977 1.05%
1978 -8.33%
1979 17.42%
1980 16.77%
1981 -19.34%
1982 29.45%
1983 21.69%
1984 1.3%
1985 33.48%
1986 21.35%
1987 -19.59%
1988 14.71%
1989 28.03%
1990 -2.72%
1991 28.26%
1992 13.72%
1993 25.58%
1994 -8.84%
1995 16.23%
1996 21.71%
1997 43.86%
1998 28.91%
1999 -21.24%
2000 68.57%
2001 -11.39%
2002 -4.98%
2003 42.69%
2004 15.26%
2005 25.75%
2006 20.08%
2007 9.94%
2008 -20.06%
2009 13.29%
2010 -11.29%
2011 9.18%
2012 2.07%
2013 47.65%
2014 -21.19%
2015 -18.88%
2016 62.29%
2017 -3.86%
2018 -8.63%
2019 28.45%
2020 -8.3%
2021 20.38%
2022 1.47%
2023 -2.99%
2024 24.42%

MDU Resources Group, Inc had 33 positive years and 19 negative years. That's a positive ratio of 63%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1973 - -4.6% 6.2% -4.5% -4.3% -6% -4% -1.3% 5.9% -0.8% 1.6% 10.3% -2.8%
1974 -2.9% -0.7% -6.7% -7.6% -4.8% -7.3% -3.9% -6.6% -1.6% 13.3% 2.9% 0.5% -24.1%
1975 10.4% -3.9% -6.3% -6.7% 8.2% 2.8% -4.6% -1.4% -1% 9.4% -6.3% -0.5% -1.9%
1976 12.1% 1.7% -5.1% 7.1% 2.5% 0.4% 4.5% 1.2% 7.3% -7.5% 8.9% 1.1% 37.7%
1977 6% 2.3% 2.3% 0.6% -5.7% 0.3% 2.3% -3.3% -2% 1.4% -4.7% 2.1% 1.1%
1978 -5.2% -1.8% -3% 6.9% -1.4% -1.5% -1.5% 4.5% 3.6% -8.3% 6.1% -5.7% -8.3%
1979 4.6% -2.9% 0.8% 5.2% -4.2% 1.5% 9.4% -6% 3.5% -11.6% 10.8% 7.6% 17.4%
1980 -1.9% 6.6% -9.3% 2% 7.3% 4.4% -1.8% -7.9% 5.3% 10% 3.4% -0.6% 16.8%
1981 -5% -5.8% 1.2% -10.4% 4.1% -5.9% -2.1% 1.4% -5.6% 5.9% 7% -4.6% -19.3%
1982 0.7% 4.1% 1.3% 4.5% -7.4% 7.3% 0.6% 9.9% 3.9% -2.7% 2.2% 2.7% 29.5%
1983 6.9% 4.5% 0.5% 4.3% -4.5% -2.4% 4.4% 6.1% -2.6% 7.2% -0.8% -2.5% 21.7%
1984 1.3% 0.4% -1.3% -1.3% 2.2% -1.3% -3.5% -1.8% 2.8% 3.6% -2.2% 2.6% 1.3%
1985 6.9% -2.8% 0.8% 8.6% 12.5% -1.3% -7.5% 2.2% -0.4% 4.3% -0.4% 8% 33.5%
1986 1% 6.7% -3% 4% 8.3% 1.9% 15.3% 0.5% -14.4% 3.8% 4.1% -5.6% 21.4%
1987 7.5% 1.5% 0.9% -12.9% 2.3% -2.3% -3.5% 8.4% -9% -8.6% -0.7% -2.9% -19.6%
1988 9.3% 1.3% -6.5% 2.1% 6.1% -5.3% 3.4% 1.3% -3.4% 5.5% 1.3% -0.1% 14.7%
1989 0.7% -3.3% 2% -0.7% 11.6% 3.6% 0.6% -1.2% 1.8% -2.4% 8.6% 4.7% 28%
1990 -9.4% 0% 6.7% -6.4% 1.2% -0.1% -1.3% -5.1% 3.3% 4.6% 1.9% 3% -2.7%
1991 -1.2% 3.7% -0.1% 1.2% 3% -1.9% -1.8% 6.8% 7.5% 2.7% 2.1% 3.6% 28.3%
1992 -4.6% 5.9% 5% -7.3% -3.7% 6% 4.7% -0.5% 3% 1.5% 0.5% 3.4% 13.7%
1993 -0.5% 1.4% 11.3% 5.6% 1.6% -3.7% 3.8% -0.8% 5% 0.8% -2% 1.2% 25.6%
1994 -2.8% -2% 6.4% -5.6% -7.6% -1.4% -0% 5.6% -2.6% 0% -5.1% 7% -8.8%
1995 1.8% -2.7% 0.6% 3.8% 1.8% 7.3% -0% 1.7% 6.8% -0.6% -4.7% 0.1% 16.2%
1996 6.3% -3% 13.6% -4.9% -4% 3.7% -1.7% 3.6% -0.5% 4.1% -0% 4.1% 21.7%
1997 -3.8% -4% 4.2% 6.3% 4.3% 0.1% -1% 0.8% 15.7% 3.7% 5.3% 6.9% 43.9%
1998 -5.5% 3.6% 21.5% -6.9% -4% 8% -4.6% 12.7% 3.5% 1.2% -4.9% 5% 28.9%
1999 -12.6% 2.2% -1.8% -6.8% 7.3% 0.6% 6.9% -3.6% -3.4% 3.9% -6.4% -7.7% -21.2%
2000 -0.9% -3.8% 10.1% 5.1% 4.6% -4.2% 7.4% 7.5% 20% -1.7% 3.9% 7.8% 68.6%
2001 -10.8% -2.4% 27.2% 12% -8.8% -12.8% -4% -6.2% -17.9% 4% 1% 15.6% -11.4%
2002 -0.6% 4.2% 7.2% -6% 2.9% -11.6% -14.2% 7% -4.4% 8.1% -0.5% 6.2% -5%
2003 4% 0.5% 4.5% 6.6% 8.2% 4.8% -5.3% 7% 0.2% 0.5% 4.6% 1.3% 42.7%
2004 -0.8% -1.9% 2.1% -4.6% 4.7% 3.2% 1.8% 3.8% 4.5% -2.6% 6.5% -1.7% 15.3%
2005 0.2% 0.9% 3.1% -2.1% 6.5% -1.5% 9% 4.8% 11.4% -7.5% -0.4% 0.3% 25.8%
2006 10.6% -2.6% -4.6% 9.9% -3.5% 3.7% 1% -0.6% -8.3% 15% 2.6% -2.2% 20.1%
2007 0.8% 2.1% 9.4% 5.4% 0% -7.1% -2.8% -0.8% 3.5% 1.2% -3.1% 1.7% 9.9%
2008 -6.2% 1.4% -6% 17.6% 14.4% 6% -8.5% 3.5% -11.8% -37.2% 11.6% 6.9% -20.1%
2009 -7.8% -23.9% 7.9% 8.9% 5.1% 3.6% 6.1% -3.6% 8.3% -0.5% 8.9% 5.1% 13.3%
2010 -6.7% -7.2% 6.4% -1.8% -11.8% -2.7% 9.5% -4.8% 6.9% -0.1% 2.6% -0% -11.3%
2011 4.7% 1.1% 7.8% 4% -1.1% -4.1% -4.2% -1% -9.4% 7.4% 4.2% 0.8% 9.2%
2012 -0.4% 1.5% 4% 2.5% -2.1% -3.1% 3.6% -3.8% 3% -1.4% -4.7% 3.3% 2.1%
2013 9.8% 3.6% 4.2% -0.2% 3.7% 0.9% 8.2% -4.8% 5.4% 6.5% -0.4% 3.6% 47.7%
2014 4.9% 6% 1.6% 3.2% -4.4% 4.2% -10.2% -0.6% -10.7% 1.3% -13% -3.4% -21.2%
2015 -3.8% -1.4% -3.5% 4.5% -6.1% -5.9% -0.1% -8.2% -2.9% 9.7% -7.6% 6.3% -18.9%
2016 -7.9% 7.9% 7.9% 3.1% 14% 5.8% 0.2% -2% 8.8% 3% 6.1% 4.1% 62.3%
2017 2% -7.6% 1.7% -1.7% 1.2% -3.1% 0.6% 2.6% -3.4% 5.4% 2.2% -3.1% -3.9%
2018 -1.5% -0.7% 7.9% 0% -1.3% 3.9% 1.1% -3.8% -7.2% -2.8% 6.1% -9.2% -8.6%
2019 7.8% 2.8% -1.5% 1.2% -5.6% 5.4% 3.6% 0.6% 5.6% 2.5% 0.5% 3% 28.5%
2020 -0.3% -6.4% -21.9% 4.5% -3.1% 2.8% -5.4% 12.6% -3.9% 5.6% 5% 6.5% -8.3%
2021 -0.2% 6.9% 13.3% 5.9% 0.6% -6.3% 1.2% 1.4% -7.2% 3.6% -11.4% 14.1% 20.4%
2022 -4.8% -8.9% 0.4% -3.3% 6.3% -0.7% 5.9% 5.5% -8.6% 4.1% 10.6% -3% 1.5%
2023 1.9% 3% -3.6% -4.1% -0.1% 4.6% 5.6% -8% -3.2% -5% 2.9% 4.1% -3%
2024 -1.5% 11.1% 13.6% - - - - - - - - - 24.4%
Pos 47.1% 54.9% 69.2% 58.8% 56.9% 51% 53.1% 51% 51% 66% 62% 68.6% 63.5%
Avg 0.2% -0.1% 2.7% 1% 1.1% -0.1% 0.5% 0.7% 0.2% 1.3% 1.3% 2.2% 11%

Other Return Metrics

Metric MDU Resources Group, Inc
Cumulative Return 8380.18%
Enh Ann Return 10.56%
Best Year 68.57%
Worst Year -24.1%
Best Month 27.2%
Worst Month -37.21%
Best Day 23.86%
Worst Day -20.15%
Win Ratio (Yearly) 63.46%
Win Ratio (Quarterly) 64.39%
Win Ratio (Monthly) 57.26%
Win Ratio (Daily) 52.09%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
MDU Resources Group, Inc 19.91% 21.82% 31.97% 27.82% 28.01% 24.46%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
MDU Resources Group, Inc 1.17 0.43 0.46 0.27 0.39 0.48

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

MDU Resources Group, Inc

start valley end days Drawdown
2008-07-02 2009-03-09 2013-08-01 1856 -62.17%
2014-04-25 2015-09-04 2020-01-23 2099 -52.78%
2001-04-27 2002-07-24 2004-07-16 1176 -52.06%
2020-02-21 2020-03-18 2021-03-10 383 -51.41%
1974-01-04 1974-10-01 1977-01-19 1111 -40.14%

The MDU Resources Group, Inc took approximately 44 months on average to recover from a major drawdown. The longest drawdown lasted 70 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric MDU Resources Group, Inc
Sharpe Ratio 0.48
Sortino Ratio 0.69
Adjusted Sortino (S/√2) 0.49
Calmar Ratio 0.15
Omega Ratio 1.09
Gain to Pain Ratio 0.09
Winckel Ratio 55.77
Ulcer Index 0.19
Kelly Criterion 4.45%
Skew 0.24
Kurtosis 17.56
End of: